The paper examines the volatility spillover effects and long-term relationship between cryptocurrencies and traditional financial markets in Türkiye using BEKK-GARCH and DCC-GARCH models. It analyses the perception of crypto assets as a “digital safe haven” in an economy marked by high inflation, exchange rate fragility, and financial uncertainty. Using monthly price data for Bitcoin, Ethereum, BIST-100, and Republic Gold from January 2010 to February 2025, the study applies unit root tests, Johansen cointegration, ARDL bounds, and Engle-Granger tests. Results show no long-term price cointegration, but Bitcoin and Ethereum returns are strongly correlated, with DCC-GARCH results showing a dynamic correlation above 50%, while gold and BIST-100 correlate weakly or negatively. BEKK-GARCH highlights significant volatility transmission from Bitcoin to Ethereum, with BIST-100 maintaining persistent volatility. The study concludes that crypto and traditional markets in Türkiye are not integrated long-term, but short-term interactions exist at the return level, with implications for portfolio diversification and financial stability.
Kaya et al. (Mon,) studied this question.